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Economic Change and Restructuring

, Volume 52, Issue 4, pp 327–349 | Cite as

Asymmetric dynamics in the social contributions and social benefits nexus in Greece

  • Panagiotis Palaios
  • Evangelia PapapetrouEmail author
Article
  • 74 Downloads

Abstract

This paper studies the existence of asymmetries and the presence of a causal relationship between social benefits and social contributions in Greece over the period 1999Q1–2016Q4 using threshold cointegration estimation techniques (TAR and MTAR models) and asymmetric error-correction model estimation. In doing so the study applies conventional and quantile unit root tests to examine the order of integration of the variables. The empirical results support the hypothesis that social benefits and social contributions are cointegrated with threshold adjustment and the adjustment process is asymmetric both in the short and long run. ECM model estimation indicates that the response of the government to a worsening budget is significantly larger than to an improving budget, and the adjustment path towards momentum equilibrium takes place through social contributions, when the budget is in its negative phase (below threshold). Granger causality tests and distributed lag asymmetry tests indicate that social benefits represent an exogenous variable.

Keywords

Nonlinear Threshold cointegration Asymmetric ECM Unit root tests Structural breaks Social benefits Social contributions 

JEL Classification

C32 C51 E62 H55 

Notes

Acknowledgements

The authors are grateful to Professor S. Hall and Maria Flevotomou for helpful comments and suggestions. The authors would like to thank an anonymous referee for helpful comments and suggestions. The views expressed are those of the authors and not those of their respective institutions.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of EconomicsNational and Kapodistrian University of AthensAthensGreece
  2. 2.Economic Research DepartmentBank of GreeceAthensGreece

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